https://bugs.winehq.org/show_bug.cgi?id=55256
--- Comment #10 from jkfloris@dds.nl --- Did "sudo rm /etc/apt/sources.list.d/winehq-lunar.sources" return the error message "rm: cannot remove 'winehq-lunar.sources': No such file or directory"?
The "N" option makes sure that the file is not downloaded twice and fills the whole sources.list.d directory with .sources(n) files. So the output you got the first time is expected if the file already exists.
Unfortunately, I'm not sure why it didn't work initially.